In this paper, we consider a classical insurance surplus process affected by a constant interest force. We present numerical algorithms for the calculation of finite time ruin probabilities using a discrete time Markov chain to approximate the risk process. Based on this method, upper and lower bounds are also obtained. © 2003 Elsevier B.V. All rights reserved.
|Number of pages||18|
|Journal||Insurance: Mathematics and Economics|
|Publication status||Published - 19 Dec 2003|
- Interest rate
- Numerical algorithms
- Ruin probability